Dies when let off the gas

I have a 97 5.4 liter 4x4 that dies when you let off the gas when it is really cold outside. It will start as long as you keep your foot on the gas, but when you let up it dies. Any suggestions?

Update: A new Idle Air Control Valve ($124 including labor) and it runs great.

Where is this part located at?

located on the back of the intake manifold, on the pasenger side, with wires attached to it, hard to see, best view is from the drivers side, looking across the engine from a low angle